French asset manager Lyxor’s hedge fund index was up by 0.8% last month as market concerns over the strength of the US economy and the Brexit impact eased. This led to a rebound in risk assets.
Seven out 10 of Lyxor’s hedge fund indices ended July in the black with the rally in global markets fuelling the most directional strategies, such as special situations and long/short equity bias leading the pack, up 3% and 3.4% respectively.
Special situations recovered from losses in June due to investments in names such as Allergan, Akorn, Baxter and Microsoft. Sectors such as consumer non- cyclicals, basic materials and communications also paid off.
Within long/short equity bias, long bias managers picked up the most returns. From a regional perspective, US funds managed to better capture the market upside thanks to higher beta. European managers’ returns were less profitable as managers significantly reduced their exposure post-Brexit
However, the depreciation of the dollar did impact global macro strategies which incurred losses of -1.15%. Managers sizeable long positions on the dollar vs the euro, pound and yen were the main causes of the losses which detracted the sizeable gains they had made before the meeting of the Federal Open Market Committee which is thought to have caused the slump of the dollar.
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